Section I: Summary of Claughton Capital - Institutional Program
Section II: Performance chart
Section III: Correlation tables
Section I: Summary of Claughton Capital - Institutional Program
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| DRAWDOWN ANALYSIS: | ||||
| Depth | Length | Peak | Valley | Recovery |
| -13.30% | 10 | Jan-08 | May-08 | Oct-08 |
| -7.87% | 2 | Nov-07 | Dec-07 | Jan-08 |
| -5.59% | 5 | Jun-07 | Oct-07 | Nov-07 |
| -5.07% | 5 | May-06 | Jul-06 | Oct-06 |
| -2.37% | current | Oct-08 | Nov-08 | not yet |
| -2.06% | 2 | Sep-05 | Oct-05 | Nov-05 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| RISK ANALYSIS: | ||||
| Month | Annualized | |||
| Compound ROR | 1.31% | 16.85% | ||
| · Volatility | 13.68% | |||
| Modified Sharpe: | 0.85 | |||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Section III: Correlation Tables
| CORRELATION ANALYSIS | ||
| Index | Monthly |
Daily |
R |
R |
|
| Newedge CTA Index | 0.22 | 0.15 |
| S&P500 Total Return | -0.22 | -0.27 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| Daily Correlation Analysis | ||
| Correlation vs Newedge CTA Index, all days | 15.39% | |
| Correlation, negative Newedge CTA Index days | -2.16% | |
| Correlation, positive Newedge CTA Index days | 17.90% | |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.